Adjusted Betas Under Reference-Day Risk

Marcelo Gonzalez, Arturo Rodriguez and Roberto Stein

The Engineering Economist, 2014, vol. 59, issue 1, 79-88

Abstract: Our article analyzes the performance of different methods to adjust beta. Specifically, we compare the standard ordinary least squares (OLS) regression method with the Blume and t-distribution methods from the point of view of reference-day risk. Our results indicate that the t-distribution method minimizes the variation due to changes in the reference day.

Date: 2014
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DOI: 10.1080/0013791X.2013.855855

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